SKEWNESS PERSISTENCE IN US COMMON STOCK RETURNS: RESULTS FROM BOOTSTRAPPING TESTS

There is much evidence that stock returns are skewed. Tests of skewness persistence to date are indirect and neglect the sampling error of skewness. The persistence of skewness in stock and portfolio returns is tested directly in a study with the bootstrap methodology. This methodology allows for the approximation of the sampling distribution of skewness. Little evidence is found to indicate that individual stock returns become less skewed in subsequent time periods. This result holds for both time periods examined in previous studies and for 2 more recent time periods. Portfolio results of tests of skewness are similar to previous studies. Portfolios, whether generated randomly or on the basis of stock skewness, exhibit very little skewness and the skewness that does exist does not persist.